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A Tour in the Asymptotic Theory of GARCH Estimation

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  • Christian Francq

    (Crest)

  • Jean-Michel Zakoïan

    (Crest)

Abstract

The main estimation methods of the univariate GARCH models are reviewed. A special attention is givento the asymptotic results and the quasi-maximum likelihood method.Keywords : Asymptotic properties of estimators, Efficient estimation, GARCH model, Quasi MaximumLikelihood Estimation, Weighted Least-Squares.

Suggested Citation

  • Christian Francq & Jean-Michel Zakoïan, 2008. "A Tour in the Asymptotic Theory of GARCH Estimation," Working Papers 2008-03, Center for Research in Economics and Statistics.
    • Handle: RePEc:crs:wpaper:2008-03
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